You can do it handling the ResizingCols event.
private void gridControl1_ResizingColumns(object sender, GridResizingColumnsEventArgs e)
{
if(e.Reason == GridResizeCellsReason.DoubleClick)
{
this.gridControl1.ColWidths.ResizeToFit(e.Columns, GridResizeToFitOptions.IncludeHeaders);
e.Cancel = true;
}
}